Hi @Staffan Söderholm ,
We can use a JavaScript in a content editor webpart, which gets the URLs of the shapes in the Visio diagram. Please refer to following steps.
Place a ScriptEditor webpart on the same page that has the Visio webpart
Paste the following code into the webpart:
190375-test.txt
Per my research, the issue is also fixed in Dec CU and office 365. You can take a reference to the document
https://answers.microsoft.com/en-us/msoffice/forum/all/hyperlinks-in-visio-2013-requiring-ctrlclick-for/6324a8a9-4efa-406d-94ff-c3c87ee4d45a?page=2
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.